Here I expose my own concerns: I'm working on an interactive installatio and I find myself having to interface an ultrasonic sensor, SRF04 Daventech model with Arduino One.

From the technical manual that I downloaded from http://www.robot-electronics.co.uk/htm/srf04tech.htm seems that this sensor has an average current consumption that is around 30mA. I know that Arduino can provide a maximum current equal to 20mA.

My fear is that, by linking the two systems, they can be damaged.

Am I worrying for nothing? if not, how can I do to connect the two systems without risk of damage?

I think you are confusing arduino digital output pin current limits (40ma max, 20-30 recommended) with the power supply current required for this sensor. As the sensor's Vcc (to power the sensor) would wire to the Arduino's +5vdc power pin, it would have no problem suppling the current required for this sensor.